Investment Management under Risk Constraints in Oil Industries<br/>

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Investment Management under Risk Constraints in Oil Industries

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 41067 (01)
University: Sharif University of Technology
Department: Industrial Engineering
Advisor(s): Salmasi, Naser
Abstract:
In this research the risk of oil price for Iran and Opec basket is studied. Several methods in order to estimate Value at Risk (VaR) such as Standard Historical Simulation, Historical Simulation with Autoregressive Forecast, Historical Simulation with moving average forecast, and ARMA are examined. The experiment is performed based on daily oil prices, from January 2005 to December 2009. The data is divided into two smaller time periods. The first, from 2005 to 2008, was used to estimate the model coefficients. The second part of data, i.e., the data gathered in 2009, was used for forecasting purposes. The result of experiment show that Historical Simulation with Autoregressive Forecasts technique has better performance than the other proposed algorithms in the 99% confident level
Keywords:
Historical Simulation ; Price Volatility ; Oil Price ; Autoregressive Method ; Value at Risk ; Oil Iran ; Moving Average (MA)

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